Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.3429 |
| Annualized Std Dev | 0.6259 |
| Annualized Sharpe (Rf=0%) | -0.5478 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3557.0000 |
| NAs | 1.0000 |
| Minimum | -0.3391 |
| Quartile 1 | -0.0146 |
| Median | -0.0018 |
| Arithmetic Mean | -0.0009 |
| Geometric Mean | -0.0017 |
| Quartile 3 | 0.0126 |
| Maximum | 0.3573 |
| SE Mean | 0.0007 |
| LCL Mean (0.95) | -0.0022 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0016 |
| Stdev | 0.0394 |
| Skewness | -0.0687 |
| Kurtosis | 14.7673 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0279 |
| Gain Deviation | 0.0325 |
| Loss Deviation | 0.0314 |
| Downside Deviation (MAR=210%) | 0.0323 |
| Downside Deviation (Rf=0%) | 0.0283 |
| Downside Deviation (0%) | 0.0283 |
| Maximum Drawdown | 0.9993 |
| Historical VaR (95%) | -0.0500 |
| Historical ES (95%) | -0.0988 |
| Modified VaR (95%) | -0.0547 |
| Modified ES (95%) | -0.0547 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-15 | NA | -0.9993 | 3102 | 3097 | NA |
| 2008-01-22 | 2008-09-19 | 2008-10-09 | -0.5043 | 183 | 169 | 14 |
| 2008-10-28 | 2008-11-04 | 2008-11-19 | -0.4484 | 17 | 6 | 11 |
| 2007-08-16 | 2007-10-05 | 2007-11-26 | -0.3265 | 71 | 36 | 35 |
| 2008-10-10 | 2008-10-13 | 2008-10-15 | -0.3028 | 4 | 2 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2007 | NA | -0.2 | -1.8 | 1.6 | 0 | 1.2 | -1.8 | -3.8 | -4.4 | 6.7 | -3.3 | -1.5 | -7.6 |
| 2008 | -6.6 | 3.4 | -9.5 | -4.8 | 1.2 | -0.6 | -0.6 | 1.2 | 1.8 | -12.4 | 35.7 | -9.7 | -7.8 |
| 2009 | 6.5 | 2.5 | 1.8 | 6.6 | -8.4 | -2.2 | -0.1 | 10.3 | 8.5 | 3.8 | -2.5 | 3.9 | 33.4 |
| 2010 | -3.3 | -1.8 | -1.3 | 6.3 | 4.2 | 0.3 | -0.9 | -6.3 | -1.1 | -1.5 | -1.8 | 0.3 | -7.1 |
| 2011 | -1 | 5.6 | -0.8 | 0.9 | 5.6 | -3.5 | 2.3 | 3.3 | 5.5 | 6.5 | 2 | 0.9 | 30.2 |
| 2012 | -1.6 | -1.1 | -1.5 | -1.8 | 5.2 | -4.5 | 0.4 | -0.5 | 1.2 | -0.1 | -1 | -1.8 | -7.1 |
| 2013 | -1 | -0.3 | -0.6 | 1.2 | 1.8 | 0.8 | 0.9 | 1.4 | -3 | -1.1 | 1.9 | 0.8 | 2.6 |
| 2014 | -0.8 | -1.4 | -0.8 | -1.5 | -1 | -0.6 | 0.3 | -1.1 | -0.2 | -1.6 | 0.6 | 3.1 | -5 |
| 2015 | 3.5 | -1.6 | -0.1 | -1.4 | -2.1 | -2.9 | -1.3 | 3.8 | -0.9 | 1.6 | -2.4 | 1.4 | -2.7 |
| 2016 | 0 | -5.3 | -0.2 | 1.7 | -0.1 | -0.1 | -0.7 | 0.4 | 1 | 4 | 3 | -1.9 | 1.5 |
| 2017 | 2.1 | 0.7 | -1.1 | -1.4 | -1.1 | 0.2 | -0.7 | 0 | -0.2 | -0.1 | -0.4 | 0.1 | -2 |
| 2018 | 3.5 | 0.7 | -0.2 | -1.4 | -0.8 | -0.4 | -0.9 | -0.5 | 1.8 | -0.8 | -1.6 | -0.3 | -0.8 |
| 2019 | 1.3 | 0.4 | 0.1 | 0 | -1.1 | 0.4 | 0.2 | -0.2 | 1.9 | 0.2 | 1 | -1.5 | 2.7 |
| 2020 | 2.3 | 4.5 | 12.9 | 6.7 | -4.7 | -4.5 | 0.3 | -0.3 | -3.9 | 1.2 | -2.4 | -2 | 9.2 |
| 2021 | -4.8 | -0.8 | 2.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -3.1 |
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Price Chart
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Rolling Performance Chart
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Snail Trail Chart
